Variables Symbols

Variable Definition

Dependent

Variable

NCSKEW_t+1

1% Shrinkage Index of the stock price in t + 1 period.

DUVOL_t+1

1% Shrinkage Index of the stock price in t + 1 period.

Independent Variable

Igroup

Enterprise Group variable

SOE

state-owned

Control Variables

Dturn_i,t

Change of monthly turnover rate; for the monthly average turnover rate difference of the T-year and the T-1year stock i.

Em_i,t

Information transparency, the corrected Jones model (Dechow et al, 1995) returns the absolute value of residuals by annual regression.

Size_i,t

The size of the listed company, with the natural logarithm of the total assets of the company;.

roa_i,t

The total asset yield of the listed company, that is, the net profit /total assets.

lev_i,t

The ratio of the assets and liabilities of listed companies is expressed by total liabilities compared with total assets;

Sd_i,t

Fluctuations in the specific earnings. Stock i in the T-year of the standard deviation of the specific weekly yield.